I am not expert on the roaches, but I have kept them alive for a couple months!
They feed at night so unless you sneak in while it is dark you are unlikely to see much activity. As for where they spend their time mine too prefer to be under the feeding dish than in a roll. I did have some cardboard egg carton pieces and they seemed to like them. They are a social insect (like honybees, ants) so you will usually find them all together in one or two places.
I actaully use oatmeal for bedding, tho' I am sure peat mosss is OK.
I don't give them any additional heat. They are in my herp room/office which ranges b/t 60-75 degrees (day/night) I have them located at the edge of a table against a wall so they do get direct heat when it is on.
Are you keeping the light on constantly? If your room is warm enough, thus the tank, I wouldn't even use it, but if you need heat I would either turn it off at night, as they are less likely to feed, or use a ceramic heat emitter. I have one for my geckos and it's great (for the record I think reptiledepot.com has them cheapest).
Morgana and others may have other thoughts or tips but as I said - mine are very much alive! LOL!
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0.1 veiled - Luna
0.2 green anoles Jaida & Jetta
0.1 brown anole - Jamaica
0.2 house geckos - Gaia & Tia
0.2 felines - Kyndra and Líta